Richard T. Baillie

Available identifiers

zbMath Open baillie.richard-tMaRDI QIDQ299255

List of research outcomes

Publication	Date of Publication	Type
On the estimation of short memory components in long memory time series models	2023-03-30	Paper
Estimation and inference for impulse response functions from univariate strongly persistent processes	2022-07-26	Paper
Inference for impulse response coefficients from multivariate fractionally integrated processes	2022-06-07	Paper
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models	2019-07-30	Paper
Modified information criteria and selection of long memory time series models	2018-11-23	Paper
Choices between OLS with robust inference and feasible GLS in time series regressions	2018-10-08	Paper
Nonlinear models for strongly dependent processes with financial applications	2016-06-22	Paper
Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates	2013-10-24	Paper
Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach	2009-07-28	Paper
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS	2005-03-07	Paper
Asymptotics of \(M\)-estimators in non-linear regression with long memory designs.	2004-03-14	Paper
Estimation of GARCH models from the autocorrelations of the squares of a process	2002-04-24	Paper
Prediction from the regression model with one-way error components	2001-07-31	Paper
Fractionally integrated generalized autoregressive conditional heteroskedasticity	1997-07-14	Paper
Long memory processes and fractional integration in econometrics	1997-01-19	Paper
https://portal.mardi4nfdi.de/entity/Q4834792	1995-07-05	Paper
Prediction in dynamic models with time-dependent conditional variances	1992-06-28	Paper
Econometric tests of rationality and market efficiency	1989-01-01	Paper
Inference in dynamic models containing 'surprise' variables	1987-01-01	Paper
Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors	1981-01-01	Paper
Predictions from ARMAX models	1980-01-01	Paper
Asymptotic prediction mean squared error for vector autoregressive models	1979-01-01	Paper
The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors	1979-01-01	Paper

Research outcomes over time

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